When 3% Means Nothing: Calibrating Escalation Limits to a Bank’s Own Forecasting Error Distribution

Intraday Prediction of Operating-Rate Deviations from the Policy Rate: Evidence from Peru

A Monte Carlo Simulation Approach to Assessing the Risk-Return Trade-off in ESG Investment Portfolios

This study asks whether environmental, social, and governance (ESG) screening changes the risk-return profile of an Indian large-cap equity portfolio. The Nifty 100 ESG index is compared with its unscreened parent, the Nifty 100, so the only systematic difference is the ESG screen and reweighting applied to a common co...

Risk Quantification and Bayesian Calibration: Assessing Tail Risk across Market Regimes

Post-pandemic volatility clustering highlights the gap between static governance and quantitative risk measurement. This paper proposes a synthesized framework utilizing complementary components of classical risk measurement and Bayesian inference. First, applying Lagrangian optimization, we illustrate the sensitivity...

Discussion Papers In Economics And Business

Protocol liquidity, rule-based benchmarks, and USDT yield predictability in DeFi lending

Policy Uncertainty and Asymmetric Volatility in Indonesia's Financial Sector: EGARCH Evidence

Purpose – This study examines the effects of domestic and global economic policy uncertainty on Indonesia's financial sector volatility, given its dominant market position and sensitivity to regulatory and capital flow shocks. Design/methodology/approach – Monthly IDX Financial Index (JKFINA/IDXFINANCE) returns from Ja...